Ujjayi,
Loose threads are par for the course. We trim as many of these off during the manufacturing process as we can. However, depending on the type of thread it could lead to problems if you pull it off. Cotton threads are not an issue, but if it is the nylon thread used for the complex seam the secures the double layer sheath section as it transitions to the single layer, then you would want to use a lighter to carefully melt the thread at its source which in effect will melt the thread and prevent it from coming loose any further.
